A Folding Method for Extreme Quantiles Estimation
In order to estimate extreme quantiles from independent and identically distributed random variables, we propose and study a novel folding procedure that improves quantile estimates obtained from the classical Peaks-Over-Threshold method (POT) used in Extreme Value Theory. The idea behind the foldi...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Instituto Nacional de Estatística | Statistics Portugal
2010-06-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/88 |
| _version_ | 1817998269630906368 |
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| author | Armelle Guillou Philippe Naveau Alexandre You |
| author_facet | Armelle Guillou Philippe Naveau Alexandre You |
| author_sort | Armelle Guillou |
| collection | DOAJ |
| description |
In order to estimate extreme quantiles from independent and identically distributed random variables, we propose and study a novel folding procedure that improves quantile estimates obtained from the classical Peaks-Over-Threshold method (POT) used in Extreme Value Theory. The idea behind the folding approach is to connect the part of a distribution above a given threshold with the one below it. A simplified version of this approach was studied by You et al. (2010). In this paper, an extension based on two thresholds is proposed to better combine the folding scheme with the POT approach. Simulations indicate that this new strategy leads to improved extreme quantiles estimates for finite samples. Asymptotic normality of the folded POT estimators is also derived.
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| first_indexed | 2024-04-14T02:51:45Z |
| format | Article |
| id | doaj.art-ab93e54e6a094bdca827eb915fcd5ef4 |
| institution | Directory Open Access Journal |
| issn | 1645-6726 2183-0371 |
| language | English |
| last_indexed | 2024-04-14T02:51:45Z |
| publishDate | 2010-06-01 |
| publisher | Instituto Nacional de Estatística | Statistics Portugal |
| record_format | Article |
| series | Revstat Statistical Journal |
| spelling | doaj.art-ab93e54e6a094bdca827eb915fcd5ef42022-12-22T02:16:17ZengInstituto Nacional de Estatística | Statistics PortugalRevstat Statistical Journal1645-67262183-03712010-06-018110.57805/revstat.v8i1.88A Folding Method for Extreme Quantiles EstimationArmelle Guillou 0Philippe Naveau 1Alexandre You 2Université de Strasbourg Laboratoire des Sciences du Climat et de l’EnvironnementUniversité Paris VI In order to estimate extreme quantiles from independent and identically distributed random variables, we propose and study a novel folding procedure that improves quantile estimates obtained from the classical Peaks-Over-Threshold method (POT) used in Extreme Value Theory. The idea behind the folding approach is to connect the part of a distribution above a given threshold with the one below it. A simplified version of this approach was studied by You et al. (2010). In this paper, an extension based on two thresholds is proposed to better combine the folding scheme with the POT approach. Simulations indicate that this new strategy leads to improved extreme quantiles estimates for finite samples. Asymptotic normality of the folded POT estimators is also derived. https://revstat.ine.pt/index.php/REVSTAT/article/view/88extreme quantile estimationpeaks-over-thresholdsgeneralized Pareto distributionfoldinggeneralized probability-weighted moments estimators |
| spellingShingle | Armelle Guillou Philippe Naveau Alexandre You A Folding Method for Extreme Quantiles Estimation Revstat Statistical Journal extreme quantile estimation peaks-over-thresholds generalized Pareto distribution folding generalized probability-weighted moments estimators |
| title | A Folding Method for Extreme Quantiles Estimation |
| title_full | A Folding Method for Extreme Quantiles Estimation |
| title_fullStr | A Folding Method for Extreme Quantiles Estimation |
| title_full_unstemmed | A Folding Method for Extreme Quantiles Estimation |
| title_short | A Folding Method for Extreme Quantiles Estimation |
| title_sort | folding method for extreme quantiles estimation |
| topic | extreme quantile estimation peaks-over-thresholds generalized Pareto distribution folding generalized probability-weighted moments estimators |
| url | https://revstat.ine.pt/index.php/REVSTAT/article/view/88 |
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